The European Securities and Markets Authority (ESMA) has released the updated results of the annual transparency calculations for equity and equity-like instruments.
Earlier in the year, the regulator began updating the transparency calculations to support MiFID II compliance obligations.
Calculations to be updated include liquidity assessments, the determination of the average daily turnover relevant for the determination of pre- and post-trade large in scale thresholds, and the determination of the most relevant market in terms of liquidity.
Other changes involve the determination of the average value of the transactions and the related the standard market size, and the determination of the average daily number of transactions on the most relevant market.
Updated results for these new calculations will apply from 8 July 2019 until 31 March 2020.
These changes reflect the change in average daily number of transactions, late corrections of underlying data used to perform the calculations, and the adjustment of the most relevant market data.
In the updated results there are 1,379 liquid shares and 370 liquid equity-like instruments other than shares, which are subject to MiFID II and MiFIR transparency requirements. A full list of assessed equity and equity-like instruments will become available on the ESMA transparency system.
MiFID II and MiFIR came into effect on 3 January 2018 and introduced pre-trade and post-trade transparency requirements for equity and non-equity instruments.
Under the new rules, pre-trade transparency requirements can be waived for transactions bigger than large-in-scale thresholds. In addition to this, systematic internalisers have pre-trade transparency obligations for instruments traded on a traded venue which are liquid.
The annual transparency calculations will be readjusted in March 2020 and released the following April.
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